In similar situations, I pop up a one or two line quotation in a wait window nowait, do the time consuming sql or whatever, and then release the wait window. No animation, but a table of a couple hundred interesting / humorous / provoking quotes gives them something to read and ponder. I also use this technique while larger forms are loading.

If you're interested, I'll send you the table I've put together. The quotes came mostly from the books "The Most Brilliant Thoughts of All Time (in two lines or less)" and "The Experts Speak (The definitive compendium of authoritative misinformation)".